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Citations for "Stock Return Predictability and Asset Pricing Models"

by Doron Avramov

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  1. Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
  2. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
  3. Jun Tu, 2010. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?," Management Science, INFORMS, vol. 56(7), pages 1198-1215, July.
  4. Avramov, Doron & Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2011. "Hedge funds, managerial skill, and macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 99(3), pages 672-692, March.
  5. Rambaccussing, Dooruj, 2009. "Exploiting price misalignements," MPRA Paper 27147, University Library of Munich, Germany.
  6. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
  7. Amisano, Gianni & Savona, Roberto, 2008. "Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk," Working Paper Series 0881, European Central Bank.
  8. Antoniou, Antonios & Lam, Herbert Y.T. & Paudyal, Krishna, 2007. "Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 955-972, March.
  9. Giulio PALOMBA, 2006. "Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis," Working Papers 267, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  10. Hamide Ramezani Aval Riabe & Mohammad Hossin Vadeei & Mehrdad Jalali, 2012. "Determination Stock Investment Strategies Of Listed Companies In Iran Using Data Mining Techniques," Far East Journal of Psychology and Business, Far East Research Centre, vol. 8(2), pages 12-26, September.
  11. Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(04), pages 959-986, August.
  12. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  13. Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
  14. Lubos Pastor & Robert F. Stambaugh, 2008. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 13804, National Bureau of Economic Research, Inc.
  15. Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
  16. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  17. Pástor, Luboš & Veronesi, Pietro, 2009. "Learning in Financial Markets," CEPR Discussion Papers 7127, C.E.P.R. Discussion Papers.
  18. Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008. "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers 37, Brandeis University, Department of Economics and International Businesss School.
  19. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  20. Michael Verhofen, 2005. "Markov Chain Monte Carlo Methods in Financial Econometrics," Financial Markets and Portfolio Management, Springer, vol. 19(4), pages 397-405, December.
  21. Avramov, Doron & Wermers, Russ, 2005. "Investing in mutual funds when returns are predictable," CFR Working Papers 05-13, University of Cologne, Centre for Financial Research (CFR).
  22. Zhou, Guofu, 2010. "How much stock return predictability can we expect from an asset pricing model?," Economics Letters, Elsevier, vol. 108(2), pages 184-186, August.
  23. Avramov, Doron & Wermers, Russ, 2006. "Investing in mutual funds when returns are predictable," Journal of Financial Economics, Elsevier, vol. 81(2), pages 339-377, August.
  24. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  25. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  26. Malefaki, Valia, 2015. "On Flexible Linear Factor Stochastic Volatility Models," MPRA Paper 62216, University Library of Munich, Germany.
  27. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
  28. Tu, Jun & Zhou, Guofu, 2011. "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," Journal of Financial Economics, Elsevier, vol. 99(1), pages 204-215, January.
  29. Rambaccussing, Dooruj, 2010. "A real-time trading rule," MPRA Paper 27148, University Library of Munich, Germany.
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